Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0409
Annualized Std Dev 0.2435
Annualized Sharpe (Rf=0%) -0.1680

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1634
Quartile 1 -0.0063
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0002
Quartile 3 0.0066
Maximum 0.2580
SE Mean 0.0002
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0153
Skewness 0.2515
Kurtosis 30.7485

Downside Risk

Close
Semi Deviation 0.0109
Gain Deviation 0.0123
Loss Deviation 0.0128
Downside Deviation (MAR=210%) 0.0155
Downside Deviation (Rf=0%) 0.0110
Downside Deviation (0%) 0.0110
Maximum Drawdown 0.8415
Historical VaR (95%) -0.0203
Historical ES (95%) -0.0359
Modified VaR (95%) -0.0146
Modified ES (95%) -0.0146
From Trough To Depth Length To Trough Recovery
1999-02-24 2008-11-21 NA -0.8415 5555 2454 NA
1999-01-27 1999-01-29 1999-02-22 -0.0374 18 3 15
1999-01-12 1999-01-12 1999-01-14 -0.0095 3 1 2
1999-01-19 1999-01-19 1999-01-20 -0.0095 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 1.9 -2.9 -1 1 -2.8 1.9 -1.9 0 0 1.1 2.3 1.2 0.7
2000 0 3.5 2.4 -1.2 -2.3 1.1 -1.1 1.1 -1.1 1.4 3 1.4 8.2
2001 -0.4 -1.6 -0.6 0 -1.8 0 0.7 0.2 -1.7 1.4 0.8 0.5 -2.4
2002 0.3 0.8 0.8 0.6 0.6 3.1 -1.7 1 0.7 0.4 2.1 0.7 9.6
2003 1.9 -0.9 0.6 0.9 -0.6 0.9 0 -0.6 0.6 1.1 2.3 0.6 6.8
2004 1.1 1.6 -0.5 -0.6 1.6 0.3 0.3 -0.3 0 0.6 -0.3 0.6 4.4
2005 -0.3 0.3 0 -0.3 0.6 6.7 -0.6 1.7 -0.3 -0.6 0 0.6 8
2006 0.3 0.6 0 -0.6 0.3 0.6 0.3 -0.9 0.3 -0.3 1.4 0.3 2.4
2007 0.3 -1.1 0.3 0.3 0 0 -0.7 3.4 0.3 1 0.7 1 5.5
2008 1 -0.6 2.7 1.6 0.6 0.3 3 -0.4 5.5 7.6 3 -1.2 25.1
2009 0 3.2 1.2 7.1 2 2.4 0.5 0.4 -1.2 -1.7 0 2.8 17.8
2010 0.8 0 1.8 1.4 -0.4 1.5 0.9 -2.7 0.3 1.2 -0.7 1.7 5.9
2011 1 1.3 0 0 1.3 1 3.4 0.7 0 -0.3 0.7 0.7 10.2
2012 0.1 0.3 0 -0.3 0 -0.6 0.3 0 -1.2 1.9 -1.6 -0.6 -1.7
2013 0 1.6 0.9 -0.6 -1.6 1 0 0.4 0.4 0.3 0.4 0.7 3.4
2014 -0.4 -0.7 -0.3 0.7 0 -0.3 -0.7 0 0.4 0.7 -1.1 0 -1.7
2015 -0.4 0 -0.4 2.1 -0.4 0.8 -0.4 -0.4 0.9 2.5 1.2 2.7 8.4
2016 0 2.3 0.4 -0.4 0 -0.4 0 0 0.4 0 0 0.4 2.8
2017 0.8 0.8 0.8 0 0.4 1.8 0.3 0.7 0.3 -0.3 0.4 1 7.1
2018 0.7 -0.4 1.1 -0.7 0.4 0.8 0.8 0.5 -0.4 0.4 0.4 1.4 5.1
2019 1.7 0.8 0 -0.4 -1.6 -0.8 1.2 0 -0.4 -0.4 -0.4 0.4 0.2
2020 -1.3 -3.8 -2.4 -1.9 0 -0.9 -0.4 0.9 0.4 0.4 1 -0.8 -8.6
2021 -0.8 0.8 -0.8 NA NA NA NA NA NA NA NA NA -0.8

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart